Brazil CDS Unwind Recap - 1/15/2016 [C]

Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW.

DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade.

Original unofficial trade details:

BraSov default swap with SOUTHERN FINANCIAL LLC DB Sells default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL : USD 10,000,000 TRADE DATE : 13-Jan-2015 IM% : 1 EFFECTIVE : 14-Jan-2015 TERMINATION : 20-Mar-2020 REF OB : BRAZIL 12.25% OF 03/30 ISIN: US105756AL40 CREDIT EVENTS : Failure to Pay, R, Repudiation/Moratorium ISDA Definition : 2014

PRICE : 205 bps per annum (COUPON: 100 bps per annum)
UPFRONT FEE : DB Receive USD 491,941
STANDARD TRADE : Yes
HARDWIRING : Yes
CLEARING HOUSE : No

Trade details:

Thank you,

Vahe

unwind at 462 bp

Jeffrey - received. We will leave an order with the trader to unwind at 462, good for the day.

Thank you,
Vahe

Jeffrey — you're done on the Brazil CDS unwind at 462. We will be back shortly with the trade recap.

Thank you,
Vahe

Jeffrey — Brazil CDS recap:

BraSov default swap with SOUTHERN FINANCIAL LLC DB Buys default protection on FEDERATIVE REPUBLIC OF BRAZIL

NOTIONAL : USD 10,000,000
TRADE DATE 15-Jan-2016
IM% None (unwind)
EFFECTIVE 16-Jan-2016
TERMINATION : 20-Mar-2020
REF OB : BRAZIL 12.25% OF 03/30 ISIN: US105756AL40
CREDIT EVENTS Failure to Pay, R, Repudiation/Moratorium
ISDA Definition : 2014
SPREAD 462 bps per annum (COUPON: 100 bps per annum)
UPFRONT FEE : DB Pays USD 1,311,509.00
STANDARD TRADE : Yes
HARDWIRING : Yes
CLEARING HOUSE : No

Official trade confirm to follow.

Thank you,
Vahe